발췌:// Safe but Fragile: Information Acquisition, Sponsor Support and Shadow Bank Runs

• 지은이: Philipp J. K oenig and David Pothier
• 출처: Bundesbank Discussion Paper No. 15, 2018.

※ 발췌 (excerpt):

ABSTRACT:

This paper proposes a theory of shadow bank runs in the presence of sponsor liquidity support. We show that liquidity lines designed to insulate shadow banks from market and funding liquidity risk can be destabilizing, as they provide them with incentives to acquire private information about their assets' type. This can lead to inefficient market liquidity dry-ups caused by self-fulfilling fears of adverse selection. By lowering asset prices, information acquisition also reduces shadow banks' equity value and may spur inefficient investor runs. We compare different policies that can be used to boost mrket and funding liquidity. While debt purchases prevent inefficient dry-ups, liquidity injections may backfire by exacerbating adverse selection frictions.

Keywords: information Acquisition, Adverse Selection, Bank Runs, Global Games


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Our model allows to evaluate the efficacy of different policy measures aimed at minimizing the risk of market and funding liquidity dry-ups. We focus attention on three specific policies:

• (i) liquidity injection that reduce the cost of private liquidity lines, 
• (ii) asset purchase programs that place a floor on the price at which assets trade, and 
• (iii) outright purchases of debt securities.

The focus on these three measures is motivated by the policies that central banks and policy makers implemented during the financial crisis 2007-2009 in order to shore up asset and funding markets. For example, [:]

1. beginning in August 2007, the US Federal Reserve (Fed) adopted a number of policy measures to shore up wholesale funding markets including the ABCP market. At first, "conventional" liquidity injections were implemented via a lowering of central bank discount rates and short-term repurchase transactions.[주]20 
2. These liquidity injections, however, failed to stop the precipitous fall in outstanding ABCP. They also did not prevent the run on money market funds that followed in the wake of Lehman Brother's bankruptcy.
3. Subsequently, in the fall of 2008, the US Treasury Department announced that it would temporarily guarantee all assets held by money market funds. While this succeeded in stopping the run on money market funds, it failed to prop up the further collapsing ABCP market.
4. This led the Fed to provide large amounts of non-recourse loans to commercial banks in order for them to purchase ABCP from money market funds. A few weeks later, the Fed also began purchasing commercial paper directly from issuers.[주]21  These policy measures specifically targeting the ABCP market were also accompanied by outright purchase of asset-backed securities.[주]22